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Are oil, gold and the euro inter-related? Time series and neural network analysis

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Abstract

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.

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Acknowledgment

We are thankful to Joko Mulyadi for data collection, bibliographical search and computational assistance. Valuable comments were given by Bala Batavia, Marc Hayford and several conference participants. We are also grateful to anonymous referees of the Review of Quantitative Finance and Accounting for valuable comments during two substantial revisions that helped us improve considerably this version and to Professor C. F. Lee, Editor-In-Chief for great encouragement and support.

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  1. School of Business Administration, Loyola University Chicago, 1 East Pearson Street, Chicago, IL, 60611, USA

    A. G. Malliaris & Mary Malliaris

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  1. A. G. Malliaris
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  2. Mary Malliaris
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Correspondence to A. G. Malliaris.

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Malliaris, A.G., Malliaris, M. Are oil, gold and the euro inter-related? Time series and neural network analysis. Rev Quant Finan Acc 40, 1–14 (2013). https://doi.org/10.1007/s11156-011-0265-9

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  • DOI: https://doi.org/10.1007/s11156-011-0265-9

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